TeX was designed in a world where file names were very simple indeed, typically strictly limited both in character set and length. In modern systems, such restrictions have largely disappeared, which leaves TeX rather at odds with its environment. Particular problems arise with spaces in file names, but things like multiple period characters can seriously confuse the graphics package.
The specification of TeX leaves some leeway for distributions to adopt file access appropriate to their operating system, but this hasn’t got us very far. Many modern distributions allow you to specify a file name as "file name.tex" (for example), which helps somewhat, but while this allows us to say
the analogous usage\input "foo bar.tex"
\includegraphics{"gappy graphics.eps"}
using “ordinary” LaTeX causes confusion in xdvi and
dvips, even though it works at compilation time. Sadly,
even within such quotes, multiple dots give \includegraphics
difficulties. Note that
\includegraphics{"gappy graphics.pdf"}
works in a similar version of PDFTeX.
If you’re using the graphics package, the grffile
package will help. The package offers several options, the simplest
of which are multidot (allowing more than one dot in a
file name) and space (allowing space in a file name). The
space option requires that you’re running on a
sufficiently recent version of PDFTeX, in PDF mode — and
even then it won’t work for MetaPost files, which are read as TeX
input, and therefore use the standard input mechanism).
This question on the Web: http://www.tex.ac.uk/cgi-bin/texfaq2html?label=grffilenames